Question : Iptables mysteriously dropping packets

I have an iptables firewall.  I have several networks connected together.  I'm trying to debug a packet which is getting lost.  

I have logging rules at the beginning and end of ALL chains.   I can trace other packets through these chains just fine, thus verifying the logging.  

The packet hits the last rule of the PREROUTING chain of the NAT table, which is the logging rule and is logged.   The default policy is ACCEPT, and as stated above, in all the other chains the logging rule is first.  However, the packet is lost - it never hits any other chain.

I would expect the packet to traverse the FORWARD chain of the MANGLE table next, but that does not happen.  Nor does it hit the INPUT chain of the MANGLE table.

What could be happening to my packet, and how can I prove it?

Answer : Iptables mysteriously dropping packets

Hm. VPN software has it's own filters..,
You might need to check what is allowed through tunnels.